政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/55137

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/55137

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政大機構典藏 > 理學院 > 應用物理研究所 > 學位論文 > Item 140.119/55137

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題名:	資訊揭露對股票市場的波動性與流動性之影響 The Impacts of Market Transparency on Volatility and Liquidity
作者:	張景婷
貢獻者:	陳樹衡馬文忠張景婷
關鍵詞:	資訊揭露市場透明度有限理性人工股票市場代理人基建模遺傳規劃 Information Disclosure Market Transparency Bounded Rationality Agent-Based Modeling Artificial Stock Market Genetic Programming
日期:	2012
上傳時間:	2012-11-01 13:58:46 (UTC+8)
摘要:	知訊者與非知訊者資訊不對稱之議題在學術殿堂一直廣為學者所研究討論，且各國證管機關為了維持證券市場公平性、保護非知訊者權益並且維持股票市場的穩定運作，適度的資訊揭露以維持證券市場的公平性一直都是各國證券交易所重視的政策目標。是故，本研究利用代理人基人工股票市場來探討資訊揭露對於金融市場之影響。在此架構下之交易者皆已有限理性方式來呈現。他們是以遺傳規劃(genetic programming)之方式來學習並修正他們對於未來之金融市場之預期。在透過即時的模擬價格之資訊揭露，我們嘗試探討此資訊揭露之金融政策措施對於市場之波動性、市場之流動性之影響。 The topic of asymmetric information between the informed traders and uninformed traders has been widely discussed by researchers in academics. To maintain the fairness of securities market, an appropriate information disclosure is quite important for authorities of securities regulation to protect the rights and interests of uninformed traders, and to maintain the operations of securities market stable. Based on these reasons, we construct an agent-based artificial stock market to investigate how information disclosure affects a financial market. In this framework of artificial stock market, all traders are characterized by bounded rationality. The traders are able to learn and adjust their predictions of financial market by means of a genetic programming algorithm. We try to understand how market transparency affects the volatility and the liquidity of a securities market.
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B., and Palmer, R., 1999, "Time series properties of an artificial stock market.", Journal of Economic Dynamics and Control 23, 1487-1516. LeBaron, B., 2006, "Agent-based computational finance. In: L. Tesfatsion and K. L. Judd (Eds.)", Handbook of Computational Economics, vol. 2. Amsterdam: Elsevier, 1187-1233. Lux, T., 1995, "Herd behavior, bubbles and crashes.", The Economic Journal 105, 881-896. Lux, T., 1997, "Time variation of second moments from a noise trader/infection model.", Journal of Economic Dynamics and Control 22, 1-38. Lux, T., 1998, "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions.", Journal of Economic Behavior and Organization 33, 143-165. Lux, T., and Marchesi, M., 1999, "Scaling and criticality in a stochastic multi-agent model of a financial market.", Nature 397, 498-500. 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描述:	碩士國立政治大學應用物理研究所 99755004 101
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0099755004
資料類型:	thesis
顯示於類別:	[應用物理研究所 ] 學位論文

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